Did you search the Black Sea German Database
http://www.blackseagr.org/blksea-db/searchform.php? There are some listed for both Fenning and Pfenning. Do you know what area of the Black Sea they were from? What religion were they?
You may also want to check out the Odessa Digital Library
http://www.odessa3.org/search.html and do a search. I found some (Pfenning) in the Bessarabia and Volhyian areas.
The Karl Stumpp book lists three people under the name Pfennig (pg 394). One went to Leipzig, Bessarabia and no location in South Russia for the other two but it start where they came from. Leipzig might be a good place to start your research.
Hope this helps.
Gayla